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Volumn 42, Issue 3, 2000, Pages 259-279

A barrier option of American type

Author keywords

American option; Barrier option; Constrained portfolios; Elastic boundary condition; Hedging; Optimal stopping; Singular stochastic control; Variational inequality

Indexed keywords

BOUNDARY CONDITIONS; OPTIMIZATION; PROBLEM SOLVING; STATISTICAL METHODS; VARIATIONAL TECHNIQUES;

EID: 0034318222     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s002450010013     Document Type: Article
Times cited : (40)

References (10)
  • 1
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, F., and Scholes, M. (1973) The pricing of options and corporate liabilities. J. Polit. Econ. 81: 637-659.
    • (1973) J. Polit. Econ. , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.2
  • 2
    • 0040249268 scopus 로고    scopus 로고
    • Optimal replication of contingent claims under portfolio constraints
    • Broadie, M., Cvitanić, J., and Soner, M. (1998) Optimal replication of contingent claims under portfolio constraints. Rev. Finan. Stud. 11(1): 59-79.
    • (1998) Rev. Finan. Stud. , vol.11 , Issue.1 , pp. 59-79
    • Broadie, M.1    Cvitanić, J.2    Soner, M.3
  • 3
    • 0003964545 scopus 로고    scopus 로고
    • Lectures on the Mathematics of Finance
    • American Mathematical Society, Providence, RI
    • Karatzas, I. (1996) Lectures on the Mathematics of Finance. CRM Monograph Series, Vol. 8, American Mathematical Society, Providence, RI.
    • (1996) CRM Monograph Series , vol.8
    • Karatzas, I.1
  • 4
    • 0000789873 scopus 로고    scopus 로고
    • Hedging American contingent claims with constrained portfolios
    • Karatzas, I., and Kou, S.G. (1998) Hedging American contingent claims with constrained portfolios. Finance Stochast. 3: 215-258.
    • (1998) Finance Stochast , vol.3 , pp. 215-258
    • Karatzas, I.1    Kou, S.G.2
  • 5
    • 0021520672 scopus 로고
    • Connections between optimal stopping and singular stochastic control, I: Monotone follower problems
    • Karatzas, I., and Shreve, S. (1984) Connections between optimal stopping and singular stochastic control, I: Monotone follower problems. SIAM J. Control Optim. 22: 856-877.
    • (1984) SIAM J. Control Optim. , vol.22 , pp. 856-877
    • Karatzas, I.1    Shreve, S.2
  • 8
    • 0015602539 scopus 로고
    • Theory of rational option pricing
    • Merton, R.C. (1973) Theory of rational option pricing. Bell J. Econom. Manage. Sci. 4: 141-183.
    • (1973) Bell J. Econom. Manage. Sci. , vol.4 , pp. 141-183
    • Merton, R.C.1
  • 9
    • 84985422249 scopus 로고
    • Optimal stopping of one-dimensional diffusions
    • Salminen, P. (1985) Optimal stopping of one-dimensional diffusions. Math. Nachr. 124: 85-101.
    • (1985) Math. Nachr. , vol.124 , pp. 85-101
    • Salminen, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.